Correlation Between Amundi EUR and Amundi MSCI

Can any of the company-specific risk be diversified away by investing in both Amundi EUR and Amundi MSCI at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Amundi EUR and Amundi MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Amundi EUR High and Amundi MSCI USA, you can compare the effects of market volatilities on Amundi EUR and Amundi MSCI and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Amundi EUR with a short position of Amundi MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amundi EUR and Amundi MSCI.

Diversification Opportunities for Amundi EUR and Amundi MSCI

0.88

Correlation Coefficient

Amundi EUR  Amundi MSCI

Very poor diversification

The 3 months correlation between Amundi and Amundi is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Amundi EUR High and Amundi MSCI USA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi MSCI USA and Amundi EUR is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Amundi EUR High are associated (or correlated) with Amundi MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi MSCI USA has no effect on the direction of Amundi EUR i.e., Amundi EUR and Amundi MSCI go up and down completely randomly.

Pair Corralation between Amundi EUR and Amundi MSCI

Assuming the 90 days trading horizon Amundi EUR is expected to generate 2.81 times less return on investment than Amundi MSCI. But when comparing it to its historical volatility, Amundi EUR High is 4.43 times less risky than Amundi MSCI. It trades about 0.27 of its potential returns per unit of risk. Amundi MSCI USA is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  71,503  in Amundi MSCI USA on September 14, 2024 and sell it today you would earn a total of  5,119  from holding Amundi MSCI USA or generate 7.16% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Amundi EUR High  vs.  Amundi MSCI USA

Amundi EUR High

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Amundi EUR High are ranked lower than 21 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, Amundi EUR is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Amundi MSCI USA

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Amundi MSCI USA are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, Amundi MSCI may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Amundi EUR and Amundi MSCI

The main advantage of trading using opposite Amundi EUR and Amundi MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amundi EUR position performs unexpectedly, Amundi MSCI can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Amundi MSCI will offset losses from the drop in Amundi MSCI's long position.

The idea behind Amundi EUR High and Amundi MSCI USA pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.